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T L
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Decks in this class (31)
Topics 1-2
1. Estimating Market Risk Measures: An Introduction and Overview
2. Non-parametric Approaches
25
cards
Topics 3-5
Backtesting VaR
VaR Mapping
Messages from the Academic Literature on Risk Measurement
for the Trading Book
25
cards
Topics 6-9
Some Correlation Basics: Properties, Motivation, Terminology
Empirical Properties of Correlation: How Do Correlations Behave
in the Real World?
Statistical Correlation Models—Can We Apply Them to Finance?
Financial Correlation Modeling—Bottom-Up Approaches
28
cards
Topics 10-12
Explain the drawbacks to using a ...,
Describe a regression hedge and e...,
Calculate the regression hedge ad...
17
cards
Topics 13-15
Term structure model with no drif...,
Calculate the short term rate cha...,
Describe methods for addressing t...
30
cards
Topics 16-18
The four primary components of cr...,
Three issues regarding risk mitig...,
The qualitative credit analysis t...
23
cards
Topics 19-20
Three features of a good rating s...,
Key measures used to assess the r...,
Conditional forward pd
41
cards
Topics 21-23
Compare the different ways of rep...,
Define and compute the spread 01,
Explain how default risk for a si...
34
cards
Topics 24-26
Describe counterparty risk and di...,
Repos reverse repos haircut,
Counterparty risk of foreign exch...
26
cards
Topics 27-30
Describe and calculate the follow...,
Describe and calculate the follow...,
Compare the characterization of c...
38
cards
Topics 31-34
Describe wrong way risk and contr...,
Identify examples of wrong way ri...,
Discuss the impact of wrong way r...
31
cards
Topics 35-36
Define securitization describe th...,
Explain the terms over collateral...,
Analyze the differences in the me...
21
cards
Topics 37-39
Describe the three lines of defen...,
Corporate operational riskfunctio...,
Summarize the fundamental princip...
26
cards
Topics 40-42
Poor data quality,
Identify the most common issues t...,
Explain how a firm can set expect...
23
cards
Topics 43-45
Define the basic indicator approa...,
Basic indicator approach,
The standardized approach
27
cards
Topics 46-48
Explain the process of model vali...,
Describe best practices for the r...,
Elements of qualitative validation
23
cards
Topics 49-50
Properties of a coherent risk mea...,
Within the economic capital imple...,
Within the economic capital imple...
31
cards
Topics 51-54
Repo vs reverse repo,
Explain common motivations for en...,
Explain how counterparty risk and...
34
cards
Topics 55-58
Describe the major lines of busin...,
Identify situations that can caus...,
Describe policy measures that can...
29
cards
Topics 59-61
Describe and calculate the stress...,
Explain the process of calculatin...,
Describe the comprehensive risk m...
16
cards
Topics 62-64
Provide examples of factors that ...,
Describe the capital asset pricin...,
Implications of using the capm
25
cards
Topics 65-68
Evaluate the characteristics of i...,
Examine the relationship between ...,
Assess the impact of biases on re...
32
cards
Topics 69-71
Define compare and contrast var a...,
Describe risk planning including ...,
Describe risk budgeting and the r...
34
cards
Topics 72-79
Identify reasons for the failures...,
Explain elements of the due dilig...,
Identify themes and questions inv...
39
cards
Revision
Holding an asset and a put on the...,
Covered call,
Bull spreads
27
cards
1 - Market Risk Measurement & Management
Estimate var using a historical s...,
Estimate var using a parametric a...,
Estimate the expected shortfall g...
95
cards
2 - Credit Risk Measurement & Management
Define credit risk and explain ho...,
Explain the components of credit ...,
Describe compare and contrast var...
161
cards
3 - Operational Risk and Resiliency
Describe the three lines of defen...,
Summarize the fundamental princip...,
Explain guidelines for strong gov...
109
cards
4 - Liquidity and Treasury Risk Measurement & Management
Explain and calculate liquidity t...,
Identify liquidity funding risk f...,
Evaluate basel iii liquidity risk...
73
cards
5 - Risk Management and Investment Management
Provide examples of factors that ...,
Discuss the capital asset pricing...,
Explain the implications of using...
80
cards
6 - Current Issues in Financial Markets
Explain the distinctions between ...,
Analyze and discuss the applicati...,
Describe the role and potential b...
34
cards
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FRM Part 2 - LOD
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